Recursive computation of invariant distributions of Feller processes
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Central limit and other weak theorems (60F05) Diffusion processes (60J60) Continuous-time Markov processes on general state spaces (60J25) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
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Cites work
- scientific article; zbMATH DE number 3951715 (Why is no real title available?)
- scientific article; zbMATH DE number 3688420 (Why is no real title available?)
- scientific article; zbMATH DE number 3723610 (Why is no real title available?)
- scientific article; zbMATH DE number 1245556 (Why is no real title available?)
- scientific article; zbMATH DE number 652291 (Why is no real title available?)
- An adaptive scheme for the approximation of dissipative systems
- Approximation of the distribution of a stationary Markov process with application to option pricing
- Computation of the invariant measure for a Lévy driven SDE: Rate of convergence
- Convergence and convergence rates for approximating ergodic means of functions of solutions to stochastic differential equations with Markov switching
- Convergence rate of some semi-groups to their invariant probability
- Ergodic approximation of the distribution of a stationary diffusion: rate of convergence
- Hybrid switching diffusions. Properties and applications
- Nonasymptotic convergence analysis for the unadjusted Langevin algorithm
- On the functional central limit theorem and the law of the iterated logarithm for Markov processes
- Practical drift conditions for subgeometric rates of convergence.
- RECURSIVE COMPUTATION OF THE INVARIANT DISTRIBUTION OF A DIFFUSION: THE CASE OF A WEAKLY MEAN REVERTING DRIFT
- Recursive computation of the invariant distribution of a diffusion
- Recursive computation of the invariant distributions of Feller processes: revisited examples and new applications
- Recursive computation of the invariant measure of a stochastic differential equation driven by a Lévy process
- Second-order discretization schemes of stochastic differential systems for the computation of the invariant law
- Semigroups of linear operators and applications to partial differential equations
- Sur quelques algorithmes récursifs pour les probabilités numériques
- The parabolic differential equations and the associated semigroups of transformation
- Weak convergence of recursions
Cited in
(5)- Non-asymptotic Gaussian estimates for the recursive approximation of the invariant distribution of a diffusion
- RECURSIVE COMPUTATION OF THE INVARIANT DISTRIBUTION OF A DIFFUSION: THE CASE OF A WEAKLY MEAN REVERTING DRIFT
- Discretization of the ergodic functional central limit theorem
- Feller property and infinitesimal generator of the exploration process
- Approximation of the invariant distribution for a class of ergodic SDEs with one-sided Lipschitz continuous drift coefficient using an explicit tamed Euler scheme
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